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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for November NY Harbor ULSD(NYM) as of Jan 01, 2018
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Oct Nov Dec Jan Feb Mar Apr May Jun Jul Aug Sep
Tested Years   27 31 33 34 37 38 39 39 39 39 39
Closed Higher   14 15 15 19 26 24 18 18 23 22 23
Exceeded High   10 14 12 17 25 19 14 17 20 20 18
Scenario Percentage   71% 93% 80% 89% 96% 79% 78% 94% 87% 91% 78%
Avg Max Increase   8.63% 7.62% 11.11% 10.38% 12.18% 10.53% 8.89% 10.91% 13.92% 10.36% 5.27%
Max Increase   17.86% 18.20% 28.01% 23.28% 51.12% 53.09% 23.81% 24.96% 76.22% 39.38% 15.65%
Avg Days To Max Increase   16 14 12 15 18 15 14 17 19 14 15
Avg Max Decline   -1.12% -1.35% -1.17% -1.96% -2.36% -2.18% -1.52% -3.26% -2.74% -3.02% -2.32%
Max Decline   -7.40% -6.74% -4.81% -12.84% -8.88% -11.99% -5.77% -16.48% -8.55% -15.12% -13.24%
Avg Days to Max Decline   8 9 5 9 7 8 7 11 10 8 3
2017 Contract Condition   Yes Yes   Yes         Yes Yes Yes
Action   Yes Yes   No         Yes Yes Yes
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Condition 2: Lower Monthly Close.
Action ---> Sell that month's close with objective of penetrating month's low within 2 months.
Tested Month Oct Nov Dec Jan Feb Mar Apr May Jun Jul Aug Sep
Tested Years   27 31 33 34 37 38 39 39 39 39 39
Closed Lower   13 16 18 15 11 14 21 21 16 17 16
Penetrated Low   10 12 11 9 9 9 15 16 10 11 11
Scenario Percentage   77% 75% 61% 60% 82% 64% 71% 76% 63% 65% 69%
Avg Max Decline   12.59% 13.28% 10.33% 5.16% 7.15% 7.55% 8.36% 9.81% 11.00% 12.92% 8.69%
Max Decline   32.82% 32.60% 34.45% 18.95% 14.57% 20.84% 19.14% 27.27% 23.89% 41.36% 34.78%
Avg Days To Max Decline   18 18 16 9 13 15 18 16 17 15 17
Avg Max Increase   -1.52% -3.48% -1.65% -1.37% -2.70% -3.89% -1.42% -2.12% -3.45% -2.04% -2.22%
Max Increase   -5.51% -10.05% -6.01% -5.12% -5.57% -7.55% -6.77% -7.93% -19.87% -6.87% -6.54%
Avg Days to Max Increase   6 7 5 9 9 15 5 9 11 12 6
2017 Contract Condition       Yes   Yes Yes Yes Yes      
Action       Yes   Yes Yes Yes No      
High 172.00 166.48 179.86 182.06 174.52 172.36 171.84 166.43 157.70 167.64 172.27 185.86
Low 160.92 150.26 170.20 169.65 167.17 154.98 154.90 143.00 139.42 145.12 156.11 168.29
Close/Last 160.92 166.04 179.10 170.29 170.69 162.77 156.19 155.88 150.78 167.16 172.04 181.00

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